Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes

DOI10.1155/2018/4816716zbMath1431.62418OpenAlexW2791088674MaRDI QIDQ1658202

Lema Logamou Seknewna, Peter Mwita Nyamuhanga, Benjamin Kyalo Muema

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/4816716

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Uses Software

• LOWESS

Cites Work

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• Regression Quantiles
• A Review of Nonparametric Time Series Analysis
• Methods for Estimating a Conditional Distribution Function
• Bias reduction in kernel density estimation via Lipschitz condition
• Some New Estimates for Distribution Functions

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